Laplace transform of the survival probability under Sparre Andersen model

被引：1
|
作者：
Sun C. [1 ,2 ]
机构：
[1] Department of Mathematics, Qufu Normal University
[2] Deparment of Basic Science, Shandong Water Polytechnic
来源：
Applied Mathematics-A Journal of Chinese Universities | 2007年 / 22卷 / 1期
基金：
中国国家自然科学基金;
关键词：
Andersen model; Laplace transform; Lundberg's fundamental equation; Survival probability;
D O I：
10.1007/s11766-007-0014-y
中图分类号：
学科分类号：
摘要：
In this paper a class of risk processes in which claims occur as a renewal process is studied. A clear expression for Laplace transform of the survival probability is well given when the claim amount distribution is Erlang distribution or mixed Erlang distribution. The expressions for moments of the time to ruin with the model above are given. © Editorial Committee of Applied Mathematics 2007.
引用
收藏
页码：109 / 118
页数：9
相关论文
共 50 条
  • [41] On a perturbed Sparre Andersen risk model with dividend barrier and dependence
    Zhang, Zhimin
    Wu, Xiu
    Yang, Hu
    JOURNAL OF THE KOREAN STATISTICAL SOCIETY, 2014, 43 (04) : 585 - 598
  • [42] The Perturbed Sparre Andersen Model with Interest and a Threshold Dividend Strategy
    Wei Wang
    Methodology and Computing in Applied Probability, 2015, 17 : 251 - 283
  • [43] The Perturbed Sparre Andersen Model with Interest and a Threshold Dividend Strategy
    Wang, Wei
    METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY, 2015, 17 (02) : 251 - 283
  • [44] On a Sparre Andersen risk model perturbed by a spectrally negative Levy process
    Zhang, Zhimin
    Yang, Hailiang
    Yang, Hu
    SCANDINAVIAN ACTUARIAL JOURNAL, 2013, (03) : 213 - 239
  • [45] Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest
    Department of Statistics and Actuarial Science, University of Waterloo, Waterloo, Ont. N2L 3G1, Canada
    不详
    Inf. Econ. Policy, 2006, 3 (61-71):
  • [46] Ruin probabilities for a Sparre Andersen model with investments: the case of annuity payments
    Kabanov, Yuri
    Promyslov, Platon
    FINANCE AND STOCHASTICS, 2023, 27 (04) : 887 - 902
  • [47] Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest
    Cai, J
    Dickson, DCM
    INSURANCE MATHEMATICS & ECONOMICS, 2003, 32 (01): : 61 - 71
  • [48] On the occupation times in a delayed Sparre Andersen risk model with exponential claims
    Jin, Can
    Li, Shuanming
    Wu, Xueyuan
    INSURANCE MATHEMATICS & ECONOMICS, 2016, 71 : 304 - 316
  • [49] The joint density of the surplus before and after ruin in the Sparre Andersen model
    Pitts, Susan M.
    Politis, Konstadinos
    JOURNAL OF APPLIED PROBABILITY, 2007, 44 (03) : 695 - 712
  • [50] On the absolute ruin problem in a Sparre Andersen risk model with constant interest
    Mitric, Ilie-Radu
    Badescu, Andrei L.
    Stanford, David A.
    INSURANCE MATHEMATICS & ECONOMICS, 2012, 50 (01): : 167 - 178
12345